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dc.contributor.authorReitz, Stefanen_US
dc.contributor.authorRuelke, Jan C.en_US
dc.contributor.authorTaylor, Mark P.en_US
dc.date.accessioned2010-05-18en_US
dc.date.accessioned2010-05-20T14:19:33Z-
dc.date.available2010-05-20T14:19:33Z-
dc.date.issued2010en_US
dc.identifier.isbn978-3-86558-611-7en_US
dc.identifier.urihttp://hdl.handle.net/10419/32548-
dc.description.abstractThis paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that mean reversion increases with the degree of exchange rate misalignment. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This in line with the so-called coordination channel of intervention effectiveness.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2010,08en_US
dc.subject.jelC10en_US
dc.subject.jelF31en_US
dc.subject.jelF41en_US
dc.subject.ddc330en_US
dc.subject.keywordForeign exchange interventionen_US
dc.subject.keywordmarket microstructureen_US
dc.subject.keywordsmooth transitionen_US
dc.subject.keywordnonlinear mean reversionen_US
dc.subject.stwWechselkurspolitiken_US
dc.subject.stwWirkungsanalyseen_US
dc.subject.stwWechselkursen_US
dc.subject.stwUS-Dollaren_US
dc.subject.stwDevisenmarkten_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwAustralienen_US
dc.titleOn the nonlinear influence of Reserve Bank of Australia interventions on exchange ratesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn626257611en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:201008-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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